EBS NDF
CME Group
The EBS Non-Deliverable Forwards (NDF) historical data provides information on the NDF order book, created on a time-slice basis and includes a Price Record and Deal Record. The Price Record lists the EBS Market Best Prices at the end of a time-slice and the Deal Record lists the highest paid and the lowest given deal prices during the period of a time-slice.
EBS NDF history is available in three levels of granularity: Tick, Level 1 & Level 2.
EBS NDF Tick History:
Top of Book; Best Bid and Best Offer
Dealt Prices (no volume)
EBS NDF Level 1 History:
Top of Book; Best Bid and Best Offer
Volume at Best Bid/Offer
EBS NDF Level 2 History:
Depth of Book (five or ten levels of order book (bid/offer) depending on currency pair)
Highest Paid and Lowest Given
Volume traded at the Highest Paid and Lowest Given
Number of trades at the Highest Paid and Lowest Given
Total Volume traded
Contents
Dates Available
The first EBS NDF L1 ON SEF File is available on October 1, 2017.
The first EBS NDF L1 OFF SEF File is available on October 1, 2017.
The first EBS NDF L2 ON SEF File is available on October 1, 2017.
The first EBS NDF L2 OFF SEF File is available on October 1, 2017.
The first EBS NDF Tick File is available on May 15, 2022.
Sample Files
Name | Sample File |
|---|
Name | Sample File |
|---|---|
EBS NDF Tick ON SEF | |
EBS NDF Tick OFF SEF | |
EBS NDF Level 1 OFF SEF | |
EBS NDF Level 1 ON SEF | |
EBS NDF Level 2 OFF SEF | |
EBS NDF Level 2 ON SEF |
FAQ
What format is the file delivered in?
Data is provided in .csv format (comma separated values) for Tick, Level 1 and Level 2.
Are files compressed?
Yes, the files are compressed into zip files.
What is the time-slice available for Price and Deal records?
The data is represented in one-second time-slices for Tick and Level 1 files. Level 2 is in 100-millisecond time-slices.
The historical data is created on a time-slice basis and includes price records and deal records. The price records list the NDF prices at the end of the time-slice and the deal records list the highest paid and lowest given deal prices during the time-slice.
Are all of the levels sourced from EBS?
Yes, all of the data in the historical files are sourced from transactions done on EBS Market via CME Globex platform.
What currencies are available for NDFs?
ON SEF |
|---|
ON SEF | |
|---|---|
ARS 1M SEF | US Dollar/Argentine Peso NDF 1 Month ON SEF |
BRL 1M SEF | US Dollar/Brazilian Real NDF 1 Month ON SEF |
CLP 1M SEF | US Dollar/Chilean Peso NDF 1 Month ON SEF |
CNY 1M SEF | US Dollar/Chinese Yuan NDF 1 Month ON SEF |
COP 1M SEF | US Dollar/Columbian Peso NDF 1 Month ON SEF |
EGP 1M SEF | US Dollar/Egyptian Pound NDF 1 Month ON SEF |
EGP 2M SEF | US Dollar/Egyptian Pound NDF 2 Month ON SEF |
EGP 3M SEF | US Dollar/Egyptian Pound NDF 3 Month ON SEF |
GHS 1M SEF | US Dollar/Ghana Cedi NDF 1 Month ON SEF |
IDR 1M SEF | US Dollar/Indonesian Rupiah NDF 1 Month ON SEF |
INR 1M SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
KES 1M SEF | US Dollar/Kenyan Shilling NDF 1 Month ON SEF |
KRW 1M SEF | US Dollar/South Korean Won NDF 1 Month ON SEF |
MYR 1M SEF | US Dollar/Malaysian Ringgit NDF 1 Month ON SEF |
NGN 1M SEF | US Dollar/Nigerian Naira NDF 1 Month ON SEF |
PEN 1M SEF | US Dollar/Peruvian Nuevo Sol NDF 1 Month ON SEF |
PHP 1M SEF | US Dollar/Philippine Peso NDF 1 Month ON SEF |
RUB 1M SEF | US Dollar/Russian Ruble NDF 1 Month ON SEF |
TRY 1M SEF | US Dollar/Turkish Lira NDF 1 Month ON SEF |
TWD 1M SEF | US Dollar/New Taiwan Dollar NDF 1 Month ON SEF |
VND 1M SEF | US Dollar/Vietnamese Dong NDF 1 Month ON SEF |
ZMW 1M SEF | US Dollar/Zambian Kwacha NDF 1 Month ON SEF |
BRL EOM JAN SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM FEB SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM MAR SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM APR SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM MAY SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM JUN SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM JUL SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM AUG SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM SEP SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM OCT SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM NOV SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
BRL EOM DEC SEF | US Dollar/Brazilian Real NDF EOM ON SEF |
INR EOM JAN SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM FEB SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM MAR SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM APR SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM MAY SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM JUN SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM JUL SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM AUG SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM SEP SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM OCT SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM NOV SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
INR EOM DEC SEF | US Dollar/Indian Rupee NDF 1 Month ON SEF |
OFF SEF |
|---|
OFF SEF | |
|---|---|
ARS 1M | US Dollar/Argentine Peso NDF 1 Month OFF SEF |
BRL 1M | US Dollar/Brazilian Real NDF 1 Month OFF SEF |
CLP 1M | US Dollar/Chilean Peso NDF 1 Month OFF SEF |
CNY 1M | US Dollar/Yuan NDF 1 Month OFF SEF |
COP 1M | US Dollar/Columbian Peso NDF 1 Month OFF SEF |
EGP 1M | US Dollar/Egyptian Pound NDF 1 Month OFF SEF |
EGP 2M | US Dollar/Egyptian Pound NDF 2 Month OFF SEF |
EGP 3M | US Dollar/Egyptian Pound NDF 3 Month OFF SEF |
GHS 1M | US Dollar/Ghana Cedi NDF 1 Month OFF SEF |
IDR 1M | US Dollar/Indonesian Rupiah NDF 1 Month OFF SEF |
INR 1M | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
KES 1M | US Dollar/Kenyan Shilling NDF 1 Month OFF SEF |
KRW 1M | US Dollar/South Korean Won NDF 1 Month OFF SEF |
MYR 1M | US Dollar/Malaysian Ringgit NDF 1 Month OFF SEF |
NGN 1M | US Dollar/Nigerian Naira NDF 1 Month OFF SEF |
PEN 1M | US Dollar/Peruvian Nuevo Sol NDF 1 Month OFF SEF |
PHP 1M | US Dollar/Philippine Peso NDF 1 Month OFF SEF |
RUB 1M | US Dollar/Russian Ruble NDF 1 Month OFF SEF |
TRY 1M | US Dollar/Turkish Lira NDF 1 Month OFF SEF |
TWD 1M | US Dollar/New Taiwan Dollar NDF 1 Month OFF SEF |
VND 1M | US Dollar/Vietnamese Dong NDF 1 Month OFF SEF |
ZMW 1M | US Dollar/Zambian Kwacha NDF 1 Month OFF SEF |
INR EOM JAN | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM FEB | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM MAR | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM APR | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM MAY | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM JUN | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM JUL | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM AUG | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM SEP | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM OCT | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM NOV | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
INR EOM DEC | US Dollar/Indian Rupee NDF 1 Month OFF SEF |
“SEF” at the end of the record signifies that the NDF is ON-SEF. For OFF-SEF instruments, "SEF” will be omitted from the record.
What are ON-SEF and OFF-SEF NDFs?
SEF: A Swap Execution Facility (SEF) is an electronic platform provided by a corporate entity that allows participants to buy and sell NDFs and other financial products in a regulated and transparent manner.
ON-SEF: NDFs that are traded ON a SEF. ON-SEF is ON-MTF (MTF: multilateral trading facility).
OFF-SEF: NDFs that are not traded on a SEF. OFF-SEF is OFF-MTF.
What tenors are available for NDF?
1M, 2M, 3M, EOM*
*Please note, 2M, 3M, EOM tenors will only be available for certain currencies (as per the table above) and are not as liquid as the 1M tenor.
What time are the files available each day?
Sunday: approximately 7pm CST / 8pm EST
Mon-Fri: approximately 6pm CST / 7pm EST
How many files are available per day?
Tick: two files - one file for ON-SEF, one file for OFF-SEF
Level 1: ON-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M ON-SEF prices but no EOM ON-SEF prices, only one file will be delivered that day for 1M ON-SEF.
Level 1: OFF-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M OFF-SEF prices but no EOM OFF-SEF prices, only one file will be delivered that day for 1M OFF-SEF.
Level 2: ON-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M ON-SEF prices but no EOM ON-SEF prices, only one file will be delivered that day for 1M ON-SEF.
Level 2: OFF-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M OFF-SEF prices but no EOM OFF-SEF prices, only one file will be delivered that day for 1M OFF-SEF.
The update frequency for each currency and tenor will depend on market liquidity.
Do you have sample files available?
Yes, see "Sample File" section above.
Are there any anomalies in the data?
Please see the notes below regarding any changes to the historical data:
May 16, 2022 - EBS NDF Level 2 files- Level 2 deal records, “Quote Count” field represents the distinct number of counterparty orders and the distinct number of orders at the price level.
Prior to May 16, 2022 - the "Quote Count" field showed the distinct number of counterparties who had active quotes at that particular price level.
May 16, 2022 - Standard tenors are formatted as “<local> <tenor>” where <local> is the 3-character local currency code and <tenor> is a number and letter indicating maturity e.g., 2M to indicate 2 months.
Dated tenors are formatted as “<local> EOM <month> <year>”. In this case, <month> is the 3-character month code and <year> is the 2-digit year code e.g., “INR EOM APR 21”.
“SEF” is appended to the end to indicate an On-SEF instrument, e.g.: “INR 1M SEF”, “INR EOM APR 21 SEF”. It is omitted for Off-SEF instruments e.g. “INR 1M”, “INR EOM APR 21”.
How is the data structured?
EBS NDF Tick
Field Order | Title | Format | Description |
|---|
Field Order | Title | Format | Description |
|---|---|---|---|
1 | Date | YYYY/MM/DD | Calendar date for the event |
2 | Time | HH:MM:SS:sss | Time in GMT 24-hour format |
3 | Currency Pair | LLL TERM SEF | Currency pair will contain the same value as the FIX tag "Symbol" for these instruments. LLL is the local currency; TERM indicates the tenor. Standard tenors will be listed as 1M, etc. EOM tenors will be listed as "EOM MMM YY" with MMM as the 3-character month code and YY as the 2-digit year. SEF is appended to the end to indicate an On-SEF instrument. It is omitted for Off-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR EOM APR 21 SEF" |
4 | Event Type | Alpha | Q=Price/Quote D=Aggregate (Paid/Given) |
5 | Bid Price | Numeric | Floating point bid price |
6 | Offer Price | Numeric | Floating point offer price |
7 | Side | Alpha | G=Given P=Paid M=Matched |
8 | Last Trade | Numeric | Floating point deal price |
EBS NDF Level 1
Field Order | Title | Format | Description |
|---|
Field Order | Title | Format | Description |
|---|---|---|---|
1 | Date | MM/DD/YY | Calendar date for the event |
2 | Time | HH:MM:SS | Time in GMT 24-hour format |
3 | Currency Pair | LLL TERM SEF | Currency pair LLL= local currency TERM=NDF tenor. Standard tenors to be formatted as "1M, etc. EOM tenors to be formatted as "EOM MMM YY" with MMM YY as the 3-character month code and 2-digit year. SEF=optional suffix of "SEF" added for on-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR EOM APR 21 SEF" |
4 | Event Type | Alpha | P=Price/Quote D=Deal |
5 | Bid Price | Numeric | Floating point bid price (for Price) Floating point given price (for Deal) |
6 | Offer Price | Numeric | Floating point offer price (for Price) Floating point paig price (for Deal) |
7 | Bid Size | Numeric | Bid size (for Price) Deal size for givens |
8 | Offer Size | Numeric | Offer size (for Price) Deal size for paids |
EBS NDF Level 2
Field Order | Title | Format | Description |
|---|
Field Order | Title | Format | Description |
|---|---|---|---|
1 | Date | YYYY/MM/DD | Calendar date for the event |
2 | Time | HH:MM:SS:sss | Time in GMT 24-hour format |
3 | Currency Pair | LLL TERM SEF | Currency pair LLL=local currency TERM=NDF tenor. Standard tenors to be formatted as "1M", etc. EOM tenors to be formatted as "EOM MMM YY" with MMM YY as the 3-character month code and 2-digit year. SEF=optional suffix of "SEF" added for on-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR 1M EOM APR 21 SEF" |
4 | Event Type | Alpha | Q=Price/Quote D=Aggregate (Paid/Given) |
5 | Side | Numeric | Q Records - the side of the market of the resting order 0=Bid 1=Offer D Records - the side of the market of the trade 0=Given 1=Paid |
6 | Distance | Numeric | Only populated for Q Records. Price rank where 1 represents that this is the best price on the specified side, 2 is second best, etc. |
7 | Price | Numeric | Q Records - Floating point price D Records - Highest Paid/Lowest Given price |
8 | Amount | Numeric | Q Records - Total amount on orders at this price (7) D Records - Total amount traded at the highest paid or lowest given (7) |
9 | Quote Count | Numeric | Q Records - Number of orders at this price (7) D Records - Number of trades during the time interval, regardless of price |
10 | Total Amount | Numeric | (Available from November 2011) Only populated for D Records Total Amount traded on deals during the time slice interval (9) |
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